We analyze risk diversification in a portfolio of heavy-tailed risk factors under the assumption of second order multivariate regular variation. Asymptotic limits for a measure of diversification benefit are obtained when considering, for instance, the value-at-risk. The asymptotic limits are...

Since the seminal work of Scarf (1958) [A min-max solution of an inventory problem, Studies in the Mathematical Theory of Inventory and Production, pages 201-209] on the newsvendor problem with ambiguity in the demand distribution, there has been a growing interest in the study of the...

The problem of predicting 0-1-events is considered under general conditions, including stationary processes with short and long memory as well as processes with changing distribution patterns. Nonparametric estimates of the probability function and prediction intervals are obtained.